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K.U.Leuven

LStat

EURANDOM


Department of Mathematics

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maitzanne.com

allonhybrids.com

contingentcapital.eu


Last updated: 08/12/2012 15:33:56

Welcome to the personal webpage of Wim Schoutens.

Discover here many aspects of research and development in quantitative finance and the realm of financial engineering. Learn about many innovations in theory and practice.

 

Publications                     . 

Here one finds a list of relevant publications and a regularly updated collection of downloadable reports: Theoretical papers together with practical oriented work.

 

Events                     .. 

Find out which events have taken and will take place on Financial Engineering. Where to be and not to be ?

 

Consultancy                     .

Did you consider implementing the latest advances in the field of quantitative finance? Do you want to be beyond the others ? Find out on which topics consultancy projects can bring you what you are looking for.

 

Training                          .

See what kind of in-house tailor-made trainings can be provided and which standard courses are offered for the training of bank and insurance personnel. 

 

CV                                  .

Check out Wim Schoutens' cv.

 

Links                               . 

Some useful links, all on Mathemetical Finance. Hot places, state-of-the-art information, ...

 

Contact                           .  

Further questions ? How to reach me ?

 

 

COURSE

IN HOUSE - ONE DAY COURSE

Bail-in and Contingent Capital Explained

Concepts - Structuring - Pro & Cons - Regulation - Pricing - Dynamics

Course Leader : Wim Schoutens

info and booking : info@contingentcapital.eu

ALLONHYBRIDS.COM

Quantitative Assessment of Securitisation Deals

Product Details

Quantitative Assessment of Securitisation
Campolongo, Francesca, J÷nsson, Henrik, Schoutens, Wim (2013)
SpringerBriefs in Finance
ISBN 978-3-642-29721-2

Contingent Convertible Coco-Notes: Structuring & Pricing

Contingent Convertible (CoCo) Notes: Structuring & Pricing

Contingent Convertible Coco-Notes: Structuring & Pricing,
De Spiegeleer, Jan and Schoutens Wim
April 2011
Euromoneybooks.

The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management

Cover image for product 0470689684

The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management.
Jan De Spiegeleer and Wim Schoutens
ISBN: 978-0-470-68968-4
Wiley
January 2011

Levy Processes in Credit Risk

Levy Processes in Credit Risk
Wim Schoutens and Jessica Cariboni
ISBN: 978-0-470-74306-5
Wiley
July 2009

Levy Processes in Finance

Levy Processes in Finance: Pricing Financial Derivatives
Wim Schoutens
ISBN: 0-470-85156-2
Wiley
Hardcover
196 pages
March 2003

New 

Pricing Contingent Convertibles: A Derivatives Approach
Jan De Spiegeleer and Wim Schoutens

SSRN Report 1795092

The pricing of CoCo Bonds explained and illustrated on the market traded examples.

New 

Steering a Bank around a Death-Spiral: Multiple Trigger CoCos

De Spiegeleer, J.. and Schoutens, W.

SSRN Report 1976985

How to quantify and avoid death-spiral effects for CoCo issues of banks.

New:  The Herd behavior Index
The Herd Behavior Index: a new measure for systemic risk in financial markets.

J. Dhaene, D. Linders, W. Schoutens & D. Vyncke (2011). Research Report AFI_1157, FEB, K.U.Leuven.

Also available at SSRN: http://ssrn.com/abstract=1926191.

Market fear and herd-behavior daily measured from option prices:

The HIX and CIX

 

New:  The Fear index
FIX - The fear index - Measuring market fear.

J. Dhaene, J. Dony, M. Forys, D. Linders & W. Schoutens (2011). Research report, FEB, KULeuven.

Also available at SSRN: http://ssrn.com/abstract=1888335

Exotic Option Pricing and Advanced LÚvy Models 

Exotic Option Pricing and Advanced  Levy Models
Andreas E. Kyprianou, Wim Schoutens and Paul Wilmott (eds.)
ISBN: 0-470-01684-1
Wiley
Hardcover
August 2005